Detecting rough volatility : a filtering approach
Camilla Damian and Rüdiger Frey
| Year of publication: |
2024
|
|---|---|
| Authors: | Damian, Camilla ; Frey, Rüdiger |
| Subject: | Fractional Brownian motion | High-frequency data | Nested particle filter | Rough volatility | Stochastic filtering | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Zustandsraummodell | State space model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2399284 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015196937